Title

Forecasting The Daily Federal Funds Rate

Comments

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Abbreviated Journal Title

J. Bus. Ventur.

Keywords

Economics; Management

Abstract

This paper compares two alternative one-day-ahead forecasts of tomorrow's federal funds rate. The first forecast is a simple random walk forecast in which the forecast of tomorrow's federal funds rate is taken to be today's federal funds rate. The second forecast is an ARIMA model forecast that was allowed to vary with changes in the Federal Reserve System's operating procedures. These two forecasts are compared in terms of their general forecast accuracy and the decision support they provide to a financial institution hypothesized to be borrowing $7 million a week in the federal funds market. Even in cases felt to be most favorable to the ARIMA forecasts, the degree of forecast accuracy and decision support superiority of the ARIMA forecasts is found to be quite small.

Journal Title

Journal of Business Venturing

Volume

4

Issue/Number

4

Publication Date

1-1-1988

Document Type

Article

Language

English

First Page

581

Last Page

591

WOS Identifier

WOS:A1988T335100009

ISSN

0169-2070

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